work with order execution - we are forced to do limit orders over the API
This commit is contained in:
Dobromir Popov
@ -406,18 +406,26 @@ class TradingExecutor:
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# Place real order with enhanced error handling
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result = self._place_order_with_retry(symbol, 'BUY', 'MARKET', quantity, current_price)
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if result and 'orderId' in result:
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# Create position record
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self.positions[symbol] = Position(
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symbol=symbol,
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side='LONG',
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quantity=quantity,
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entry_price=current_price,
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entry_time=datetime.now(),
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order_id=result['orderId']
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)
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logger.info(f"BUY order executed: {result}")
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self.last_trade_time[symbol] = datetime.now()
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return True
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# Use actual fill information if available, otherwise fall back to order parameters
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filled_quantity = result.get('executedQty', quantity)
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fill_price = result.get('avgPrice', current_price)
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# Only create position if order was actually filled
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if result.get('filled', True): # Assume filled for backward compatibility
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self.positions[symbol] = Position(
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symbol=symbol,
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side='LONG',
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quantity=float(filled_quantity),
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entry_price=float(fill_price),
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entry_time=datetime.now(),
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order_id=result['orderId']
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)
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logger.info(f"BUY position created: {filled_quantity:.6f} {symbol} at ${fill_price:.4f}")
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self.last_trade_time[symbol] = datetime.now()
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return True
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else:
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logger.error(f"BUY order placed but not filled: {result}")
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return False
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else:
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logger.error("Failed to place BUY order")
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return False
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@ -465,18 +473,26 @@ class TradingExecutor:
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# Place real short order with enhanced error handling
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result = self._place_order_with_retry(symbol, 'SELL', 'MARKET', quantity, current_price)
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if result and 'orderId' in result:
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# Create short position record
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self.positions[symbol] = Position(
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symbol=symbol,
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side='SHORT',
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quantity=quantity,
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entry_price=current_price,
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entry_time=datetime.now(),
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order_id=result['orderId']
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)
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logger.info(f"SHORT order executed: {result}")
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self.last_trade_time[symbol] = datetime.now()
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return True
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# Use actual fill information if available, otherwise fall back to order parameters
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filled_quantity = result.get('executedQty', quantity)
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fill_price = result.get('avgPrice', current_price)
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# Only create position if order was actually filled
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if result.get('filled', True): # Assume filled for backward compatibility
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self.positions[symbol] = Position(
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symbol=symbol,
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side='SHORT',
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quantity=float(filled_quantity),
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entry_price=float(fill_price),
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entry_time=datetime.now(),
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order_id=result['orderId']
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)
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logger.info(f"SHORT position created: {filled_quantity:.6f} {symbol} at ${fill_price:.4f}")
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self.last_trade_time[symbol] = datetime.now()
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return True
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else:
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logger.error(f"SHORT order placed but not filled: {result}")
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return False
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else:
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logger.error("Failed to place SHORT order")
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return False
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@ -494,7 +510,18 @@ class TradingExecutor:
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logger.error(f"Elapsed time: {elapsed_time:.2f}s, cancelling order to prevent lock hanging")
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return {}
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try:
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result = self.exchange.place_order(symbol, side, order_type, quantity, current_price)
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# For retries, use more aggressive pricing for LIMIT orders
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order_price = current_price
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if order_type.upper() == 'LIMIT' and attempt > 0:
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# Increase aggressiveness with each retry
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aggression_factor = 1 + (0.005 * (attempt + 1)) # 0.5%, 1.0%, 1.5% etc.
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if side.upper() == 'BUY':
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order_price = current_price * aggression_factor
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else:
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order_price = current_price / aggression_factor
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logger.info(f"Retry {attempt + 1}: Using more aggressive price ${order_price:.4f} (vs market ${current_price:.4f})")
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result = self.exchange.place_order(symbol, side, order_type, quantity, order_price)
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# Check if result contains error information
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if isinstance(result, dict) and 'error' in result:
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@ -552,10 +579,39 @@ class TradingExecutor:
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else:
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return {}
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# Success case
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# Success case - order placed
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elif isinstance(result, dict) and ('orderId' in result or 'symbol' in result):
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logger.info(f"Order placed successfully on attempt {attempt + 1}")
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return result
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# For LIMIT orders, verify that the order actually fills
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if order_type.upper() == 'LIMIT' and 'orderId' in result:
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order_id = result['orderId']
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filled_result = self._wait_for_order_fill(symbol, order_id, max_wait_time=5.0)
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if filled_result['filled']:
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logger.info(f"LIMIT order {order_id} filled successfully")
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# Update result with fill information
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result.update(filled_result)
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return result
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else:
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logger.warning(f"LIMIT order {order_id} not filled within timeout, cancelling...")
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# Cancel the unfilled order
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try:
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self.exchange.cancel_order(symbol, order_id)
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logger.info(f"Cancelled unfilled order {order_id}")
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except Exception as e:
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logger.error(f"Failed to cancel unfilled order {order_id}: {e}")
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# If this was the last attempt, return failure
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if attempt == max_retries - 1:
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return {}
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# Try again with a more aggressive price
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logger.info(f"Retrying with more aggressive LIMIT pricing...")
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continue
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else:
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# MARKET orders or orders without orderId - assume immediate fill
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return result
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# Empty result - treat as failure
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else:
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@ -593,6 +649,86 @@ class TradingExecutor:
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logger.error(f"Failed to place order after {max_retries} attempts")
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return {}
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def _wait_for_order_fill(self, symbol: str, order_id: str, max_wait_time: float = 5.0) -> Dict[str, Any]:
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"""Wait for a LIMIT order to fill and return fill status
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Args:
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symbol: Trading symbol
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order_id: Order ID to monitor
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max_wait_time: Maximum time to wait for fill in seconds
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Returns:
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dict: {'filled': bool, 'status': str, 'executedQty': float, 'avgPrice': float}
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"""
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start_time = time.time()
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check_interval = 0.2 # Check every 200ms
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while time.time() - start_time < max_wait_time:
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try:
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order_status = self.exchange.get_order_status(symbol, order_id)
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if order_status and isinstance(order_status, dict):
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status = order_status.get('status', '').upper()
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executed_qty = float(order_status.get('executedQty', 0))
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orig_qty = float(order_status.get('origQty', 0))
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avg_price = float(order_status.get('cummulativeQuoteQty', 0)) / executed_qty if executed_qty > 0 else 0
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logger.debug(f"Order {order_id} status: {status}, executed: {executed_qty}/{orig_qty}")
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if status == 'FILLED':
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return {
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'filled': True,
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'status': status,
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'executedQty': executed_qty,
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'avgPrice': avg_price,
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'fillTime': time.time()
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}
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elif status in ['CANCELED', 'REJECTED', 'EXPIRED']:
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return {
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'filled': False,
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'status': status,
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'executedQty': executed_qty,
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'avgPrice': avg_price,
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'reason': f'Order {status.lower()}'
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}
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elif status == 'PARTIALLY_FILLED':
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# For partial fills, continue waiting but log progress
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fill_percentage = (executed_qty / orig_qty * 100) if orig_qty > 0 else 0
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logger.debug(f"Order {order_id} partially filled: {fill_percentage:.1f}%")
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# Wait before next check
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time.sleep(check_interval)
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except Exception as e:
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logger.error(f"Error checking order status for {order_id}: {e}")
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time.sleep(check_interval)
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# Timeout - check final status
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try:
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final_status = self.exchange.get_order_status(symbol, order_id)
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if final_status:
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status = final_status.get('status', '').upper()
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executed_qty = float(final_status.get('executedQty', 0))
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avg_price = float(final_status.get('cummulativeQuoteQty', 0)) / executed_qty if executed_qty > 0 else 0
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return {
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'filled': status == 'FILLED',
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'status': status,
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'executedQty': executed_qty,
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'avgPrice': avg_price,
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'reason': 'timeout' if status != 'FILLED' else None
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}
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except Exception as e:
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logger.error(f"Error getting final order status for {order_id}: {e}")
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return {
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'filled': False,
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'status': 'UNKNOWN',
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'executedQty': 0,
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'avgPrice': 0,
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'reason': 'timeout_and_status_check_failed'
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}
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def _close_short_position(self, symbol: str, confidence: float, current_price: float) -> bool:
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"""Close a short position by buying"""
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if symbol not in self.positions:
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